Analysis of Variations for Self-similar Processes: A Stochastic Calculus Approach - Softcover
Book 32 of 35: Probability and Its Applications
Synopsis
Preface.- Introduction.- Part I Examples of Self-Similar Processes.- 1.Fractional Brownian Motion and Related Processes.- 2.Solutions to the Linear Stochastic Heat and Wave Equation.- 3.Non Gaussian Self-Similar Processes.- 4.Multiparameter Gaussian Processes.- Part II Variations of Self-Similar Process: Central and Non-Central Limit Theorems.- 5.First and Second Order Quadratic Variations. Wavelet-Type Variations.- 6.Hermite Variations for Self-Similar Processes.- Appendices: A.Self-Similar Processes with Stationary Increments: Basic Properties.- B.Kolmogorov Continuity Theorem.- C.Multiple Wiener Integrals and Malliavin Derivatives.- References.- Index.
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